Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $2.00 Estimated Strategy Capacity $3900000.00 Lowest Capacity Asset SPY 327EYLVZFOQJQ|SPY R735QTJ8XC9X Portfolio Turnover 0.12% |
#region imports from AlgorithmImports import * #endregion class VirtualYellowGiraffe(QCAlgorithm): def Initialize(self): self.SetStartDate(2023, 5, 8) self.SetEndDate(2023, 5, 9) self.SetCash(100000) self.equity = self.AddEquity("SPY", Resolution.Hour) self.symbol = self.equity.Symbol self.InitOptionsAndGreeks(self.equity) #self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 30), self.daily_check) self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose('SPY', 60), self.daily_check) ## Options to target self.targetDELTA = 0.5 #self.targetExpiryDTE = 45 self.targetExpiryDTE = 0 ## Initialize Options settings, chain filters, pricing models, etc ## ==================================================================== def InitOptionsAndGreeks(self, theEquity ): ## 1. Specify the data normalization mode (must be 'Raw' for options) theEquity.SetDataNormalizationMode(DataNormalizationMode.Raw) ## 2. Set Warmup period of at leasr 30 days self.SetWarmup(30, Resolution.Daily) ## 3. Set the security initializer to call SetMarketPrice self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x))) ## 4. Subscribe to the option feed for the symbol theOptionSubscription = self.AddOption(theEquity.Symbol) ## 5. set the pricing model, to calculate Greeks and volatility theOptionSubscription.PriceModel = OptionPriceModels.CrankNicolsonFD() # both European & American, automatically ## 6. Set the function to filter out strikes and expiry dates from the option chain theOptionSubscription.SetFilter(self.OptionsFilterFunction) def Get_Current_Delta(self, symbol): for kvp in self.CurrentSlice.OptionChains: chain = kvp.Value contracts = [i for i in chain if i.Symbol==symbol] if contracts[0]: return contracts[0].Greeks.Delta return None def daily_check(self): ## If we're done warming up, and not invested, Sell put/call if (not self.IsWarmingUp) and (not self.Portfolio.Invested): self.put = self.SellAnOTMPut(self.targetDELTA, self.targetExpiryDTE) self.call = self.SellAnOTMCall(self.targetDELTA, self.targetExpiryDTE) ## Sell an OTM Put Option. ## Use Delta to select a put contract to sell ## ================================================================== def SellAnOTMPut(self, target_DELTA, target_DTE): ## Sell a put with delta and expiry days......???not clear if days are calendar days or trading days putContract = self.SelectContractByDelta(self.equity.Symbol, target_DELTA, target_DTE, OptionRight.Put) ## construct an order message -- good for debugging and order records orderMessage = f"Stock @ ${self.CurrentSlice[self.equity.Symbol].Close} |" + \ f"STO {putContract.Symbol} "+ \ f"({round(putContract.Greeks.Delta,2)} Delta)" self.Debug(f"{self.Time} {orderMessage}") self.Order(putContract.Symbol, -1, False, orderMessage) return putContract ## Sell an OTM Call Option. ## Use Delta to select a call contract to sell ## ================================================================== def SellAnOTMCall(self, target_DELTA, target_DTE): ## Sell a call with delta and expiry days......???not clear if days are calendar days or trading days callContract = self.SelectContractByDelta(self.equity.Symbol, target_DELTA, target_DTE, OptionRight.Call) ## construct an order message -- good for debugging and order records orderMessage = f"Stock @ ${self.CurrentSlice[self.equity.Symbol].Close} |" + \ f"STO {callContract.Symbol} "+ \ f"({round(callContract.Greeks.Delta,2)} Delta)" self.Debug(f"{self.Time} {orderMessage}") self.Order(callContract.Symbol, -1, False, orderMessage) return callContract ## Get an options contract that matches the specified criteria: ## Underlying symbol, delta, days till expiration, Option right (put or call) ## ============================================================================ def SelectContractByDelta(self, symbolArg, strikeDeltaArg, expiryDTE, optionRightArg= OptionRight.Call): canonicalSymbol = self.AddOption(symbolArg) theOptionChain = self.CurrentSlice.OptionChains[canonicalSymbol.Symbol] theExpiryDate = self.Time + timedelta(days=expiryDTE) ## Filter the Call/Put options contracts filteredContracts = [x for x in theOptionChain if x.Right == optionRightArg] ## Sort the contracts according to their closeness to our desired expiry contractsSortedByExpiration = sorted(filteredContracts, key=lambda p: abs(p.Expiry - theExpiryDate), reverse=False) closestExpirationDate = contractsSortedByExpiration[0].Expiry ## Get all contracts for selected expiration contractsMatchingExpiryDTE = [contract for contract in contractsSortedByExpiration if contract.Expiry == closestExpirationDate] ## Get the contract with the contract with the closest delta closestContract = min(contractsMatchingExpiryDTE, key=lambda x: abs(abs(x.Greeks.Delta)-strikeDeltaArg)) return closestContract ## The options filter function. ## Filter the options chain so we only have relevant strikes & expiration dates. ## ============================================================================= def OptionsFilterFunction(self, optionsContractsChain): strikeCount = 10 # no of strikes around underyling price => for universe selection min_Expiry_DTE = self.targetExpiryDTE # min num of days to expiration => for uni selection max_Expiry_DTE = self.targetExpiryDTE+45 # max num of days to expiration => for uni selection ## Select options including both monthly and weekly return optionsContractsChain.IncludeWeeklys()\ .Strikes(-strikeCount, strikeCount)\ .Expiration(timedelta(min_Expiry_DTE), timedelta(max_Expiry_DTE)) ## Select options including only monthly #return optionsContractsChain.StandardsOnly()\ # .Strikes(-strikeCount, strikeCount)\ # .Expiration(timedelta(min_Expiry_DTE), timedelta(max_Expiry_DTE))
#region imports from AlgorithmImports import * #endregion class VirtualYellowGiraffe(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 4, 17) self.SetEndDate(2021, 2, 17) self.SetCash(100000) self.equity = self.AddEquity("SPY", Resolution.Minute) self.InitOptionsAndGreeks(self.equity) ## Initialize Options settings, chain filters, pricing models, etc ## ==================================================================== def InitOptionsAndGreeks(self, theEquity ): ## 1. Specify the data normalization mode (must be 'Raw' for options) theEquity.SetDataNormalizationMode(DataNormalizationMode.Raw) ## 2. Set Warmup period of at leasr 30 days self.SetWarmup(30, Resolution.Daily) ## 3. Set the security initializer to call SetMarketPrice self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x))) ## 4. Subscribe to the option feed for the symbol theOptionSubscription = self.AddOption(theEquity.Symbol) ## 5. set the pricing model, to calculate Greeks and volatility theOptionSubscription.PriceModel = OptionPriceModels.CrankNicolsonFD() # both European & American, automatically ## 6. Set the function to filter out strikes and expiry dates from the option chain theOptionSubscription.SetFilter(self.OptionsFilterFunction) def OnData(self, data): ## If we're done warming up, and not invested, Sell a put. if (not self.IsWarmingUp) and (not self.Portfolio.Invested): self.SellAnOTMPut() ## Sell an OTM Put Option. ## Use Delta to select a put contract to sell ## ================================================================== def SellAnOTMPut(self): ## Sell a 20 delta put expiring in 2 weeks (14 days) putContract = self.SelectContractByDelta(self.equity.Symbol, .30, 10, OptionRight.Put) ## construct an order message -- good for debugging and order rrecords orderMessage = f"Stock @ ${self.CurrentSlice[self.equity.Symbol].Close} |" + \ f"Sell {putContract.Symbol} "+ \ f"({round(putContract.Greeks.Delta,2)} Delta)" self.Debug(f"{self.Time} {orderMessage}") self.Order(putContract.Symbol, -1, False, orderMessage ) ## Get an options contract that matches the specified criteria: ## Underlying symbol, delta, days till expiration, Option right (put or call) ## ============================================================================ def SelectContractByDelta(self, symbolArg, strikeDeltaArg, expiryDTE, optionRightArg= OptionRight.Call): canonicalSymbol = self.AddOption(symbolArg) theOptionChain = self.CurrentSlice.OptionChains[canonicalSymbol.Symbol] theExpiryDate = self.Time + timedelta(days=expiryDTE) ## Filter the Call/Put options contracts filteredContracts = [x for x in theOptionChain if x.Right == optionRightArg] ## Sort the contracts according to their closeness to our desired expiry contractsSortedByExpiration = sorted(filteredContracts, key=lambda p: abs(p.Expiry - theExpiryDate), reverse=False) closestExpirationDate = contractsSortedByExpiration[0].Expiry ## Get all contracts for selected expiration contractsMatchingExpiryDTE = [contract for contract in contractsSortedByExpiration if contract.Expiry == closestExpirationDate] ## Get the contract with the contract with the closest delta closestContract = min(contractsMatchingExpiryDTE, key=lambda x: abs(abs(x.Greeks.Delta)-strikeDeltaArg)) return closestContract ## The options filter function. ## Filter the options chain so we only have relevant strikes & expiration dates. ## ============================================================================= def OptionsFilterFunction(self, optionsContractsChain): strikeCount = 100 # no of strikes around underyling price => for universe selection minExpiryDTE = 10 # min num of days to expiration => for uni selection maxExpiryDTE = 40 # max num of days to expiration => for uni selection return optionsContractsChain.IncludeWeeklys()\ .Strikes(-strikeCount, strikeCount)\ .Expiration(timedelta(minExpiryDTE), timedelta(maxExpiryDTE))